Pricing of American catastrophe disaster insurance futures options with martingale method

MaRDI QIDQ5115346zbMATH OpenFDO

Authors Yuexu Zhao, Jie Liu

Publication date 12 August 2020

zbMATH Keywords

martingale methodactuarial methodfutures and optionsinsurance futures

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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Cited in

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• Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation

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• R

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